Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Sep 30 (1D) Oct 01 (2D) Oct 02 (3D) Oct 03 (4D) Oct 06 (7D) Oct 07 (8D) Oct 08 (9D) Oct 09 (10D) Oct 10 (11D) Oct 13 (14D) Oct 17 (18D) Oct 24 (25D) Oct 31 (32D) Nov 07 (39D) Nov 14 (46D) Nov 21 (53D) Nov 28 (60D) Dec 05 (67D) Dec 12 (74D) Dec 19 (81D) Dec 26 (88D)
lower 657.789 655.484 653.715 652.223 648.629 647.612 646.657 645.754 644.895 642.529 639.741 635.526 631.870 628.596 625.605 622.835 620.242 617.796 615.476 613.262 611.143
upper 668.921 671.226 672.995 674.487 678.081 679.098 680.053 680.956 681.815 684.181 686.969 691.184 694.840 698.114 701.105 703.875 706.468 708.914 711.234 713.448 715.567
expected move 5.566 7.871 9.640 11.132 14.726 15.743 16.698 17.601 18.460 20.826 23.614 27.829 31.485 34.759 37.750 40.520 43.113 45.559 47.879 50.093 52.212
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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